Robust mixture modeling based on scale mixtures of skew-normal distributions

Authors:
Rodrigo M. Basso;Víctor H. Lachos;Celso Rômulo Barbosa Cabral;Pulak Ghosh
Affiliations:
Departamento de Estatística, Universidade Estatual de Campinas, Brazil;Departamento de Estatística, Universidade Estatual de Campinas, Brazil;Departamento de Estatística, Universidade Federal do Amazonas, Brazil;Novartis Pharmaceuticals, East Hanover, New Jersey, USA
Venue:
Computational Statistics & Data Analysis
Year:
2010

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Abstract

A flexible class of probability distributions, convenient for modeling data with skewness behavior, discrepant observations and population heterogeneity is presented. The elements of this family are convex linear combinations of densities that are scale mixtures of skew-normal distributions. An EM-type algorithm for maximum likelihood estimation is developed and the observed information matrix is obtained. These procedures are discussed with emphasis on finite mixtures of skew-normal, skew-t, skew-slash and skew contaminated normal distributions. In order to examine the performance of the proposed methods, some simulation studies are presented to show the advantage of this flexible class in clustering heterogeneous data and that the maximum likelihood estimates based on the EM-type algorithm do provide good asymptotic properties. A real data set is analyzed, illustrating the usefulness of the proposed methodology.